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ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
Author(s) -
Chan K. S.,
Tong H.
Publication year - 1986
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1986.tb00501.x
Subject(s) - autoregressive model , mathematics , smoothness , star model , statistics , setar , threshold model , least squares function approximation , econometrics , autoregressive integrated moving average , time series , mathematical analysis , estimator
. The problem of estimating the threshold parameter, i.e., the change point, of a threshold autoregressive model is studied. By introducing smoothness into the model, sampling properties of the conditional least‐squares estimate may be obtained. Artificial and real data are used for illustrations.